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Stock volatility in the periods of booms and stagnations

Kaizoji, Taisei - 2010

time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties …The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in … periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the …

Persistent link: https://www.econbiz.de/10011524072

Models for heavy-tailed asset returns

Borak, Szymon; Misiorek, Adam; Weron, Rafał - 2010

Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...

Persistent link: https://www.econbiz.de/10008663369

Modelling the distribution of day-ahead electricity returns : a comparison

Sapio, Sandro - 2010

This paper contributes to characterizing the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting some flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power...

Persistent link: https://www.econbiz.de/10008736167

Stable mixture GARCH models

Broda, Simon A.; Haas, Markus; Krause, Jochen; … - 2011

A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...

Persistent link: https://www.econbiz.de/10009313940

Modeling dynamic volatilities and correlations under skewness and fat tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

Persistent link: https://www.econbiz.de/10011386468

Deviation from Normality and Sharpe Ratio Behavior : A Brief Simulation Study

Gatfaoui, Hayette - 2011

Sharpe ratio has been widely used in the portfolio management industry as well as fund industry (Robertson, 2001; Scholz and Wilkens, 2005). Users often forget the main core assumption describing the appropriateness of such risk-adjusted performance measure, namely asset return normality. This...

Persistent link: https://www.econbiz.de/10013134519

Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns

Stoyanov, Stoyan V. - 2010

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk when the distribution of the underlying random variable X describing portfolio returns is heavy-tailed. We illustrate the convergence rate in the limit theorem assuming that X has...

Persistent link: https://www.econbiz.de/10013134876

Determinants of the Component Structure of Intraday Return Distributions

Cai, Charlie X. - 2010

There is existing evidence of equity returns having a mixture distribution with multiple component structures. Following the increasing interest in intraday trading, this article examines determinants of intraday equity return distributions and finds that greater information flow and stock...

Persistent link: https://www.econbiz.de/10013137508

Italian Open-End Funds : Performance of Asset Management Companies

Bianchi, Michele Leonardo - 2011

We empirically analyse the returns of both Italian and round-trip open-end funds managed by Italian asset management companies (SGRs) in the period 2003-2008. Taking into account a modified version of the capital asset pricing model (CAPM), we estimated a performance measure for each asset...

Persistent link: https://www.econbiz.de/10013125743

How to Get the Asset Return Structure and Distribution Under the Presence of Transaction Costs

Bui, Anh Vu - 2012

Various results in economical and financial literature are built without taking into consideration market frictions. For instance, many of the well-known results on asset return structures and distributions do not involve the transaction costs. However any investor is aware that the indexes or...

Persistent link: https://www.econbiz.de/10013113052

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